Norm-induced Cuts: Optimization with Lipschitzian Black-box Functions (2403.11546v2)

Abstract: In this paper, we consider a finite dimensional optimization problem minimizing a continuous objective on a compact domain subject to a multi-dimensional constraint function. For the latter, we only assume the availability of a Lipschitz property. In recent literature methods based on non-convex outer approximation are proposed for tackling one dimensional equality constraints on bounded polyhedral domains, which are Lipschitz with respect to the maximum norm. To the best of our knowledge, however, there exists no non-convex outer approximation method for a general problem class. We introduce a meta-level solution framework to solve such problems and tackle the underlying theoretical foundations. Considering the feasible domain without the constraint function as manageable, our method relaxes the multidimensional constraint and iteratively refines the feasible region by means of norm-induced cuts, relying on an oracle for the resulting sub-problems. We show the method's correctness and investigate the problem complexity. In order to account for discussions about functionality, limits, and extensions, we present computational examples including illustrations.